IWM Options History — April 2014

In April 2014, IWM traded between $110.44 and $118.34. ATM implied volatility averaged 19.2%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.1% (HV 20d: 19.1%). Max pain ranged from $108.00 to $114.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.42.

Notable Days

2014-04-11: Highest Volume — 1,468,229 contracts
2014-04-10: Largest IV spike — 10.6% change
2014-04-15: Highest IV Rank — 83.8%
2014-04-11: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.38	$110.44	$118.34	$118.08	$111.98
Max Pain	$112.85	$108.00	$114.00	$112.00	$114.00
ATM IV	19.2%	16.3%	22.0%	16.8%	18.7%
Expected Move	5.8%	5.5%	6.3%	5.8%	5.5%
HV 20d	19.1%	15.1%	20.9%	15.1%	18.6%
HV 60d	17.7%	16.3%	18.6%	16.6%	16.3%
IV Rank	55.6%	26.6%	83.8%	31.9%	51.0%
IV Percentile	80.6%	41.3%	98.0%	52.0%	79.4%
Term Structure	-0.1%	-0.5%	0.4%	0.1%	-0.0%
VWIV	21.5%	19.4%	24.6%	24.2%	21.4%
Skew 25d	5.2%	4.4%	6.0%	4.7%	4.8%
Skew 10d	9.8%	8.2%	11.3%	9.1%	9.2%
Call IV 25d	16.8%	14.6%	19.3%	14.8%	16.4%
Put IV 25d	22.0%	19.0%	25.2%	19.5%	21.2%
Bid-Ask Spread %	15.29	2.00	49.78	16.83	21.27
Gamma HHI	0.08	0.06	0.14	0.06	0.08
Net GEX	-1.26B	-1.79B	-574.2M	-634.4M	-1.29B
Net DEX	11.01B	1.43B	20.52B	1.81B	11.26B
Net VEX	-65.8M	-68.4M	-59.8M	-59.8M	-66.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	1.42	3.74	2.51	1.76
Total Volume	830,900.333	436,780	1,468,229	553,635	786,479
Total OI	5,684,259.19	4,873,541	6,690,077	4,873,541	6,008,185

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-04-01	$118.08	$112.00	16.8%	5.8%	15.1%	31.9%	24.2%	4.7%	0.1%	-634.4M	1.81B	-59.8M	2.51	16.83	157,700	395,935	1,352,442	3,521,099
2014-04-02	$118.34	$112.00	16.3%	5.7%	15.2%	26.6%	20.1%	4.4%	0.1%	-574.2M	1.43B	-61.3M	3.24	4.77	132,439	428,719	1,400,659	3,610,577
2014-04-03	$117.30	$113.00	17.4%	5.6%	15.4%	37.7%	19.4%	4.7%	0.0%	-891.4M	4.23B	-64.9M	3.30	20.98	143,923	475,251	1,441,104	3,822,890
2014-04-04	$114.59	$113.00	19.0%	6.0%	17.3%	54.0%	21.9%	5.0%	-0.1%	-1.44B	11.25B	-67.1M	3.07	16.07	320,045	983,151	1,480,218	3,969,180
2014-04-07	$112.82	$113.00	20.1%	6.0%	18.0%	64.9%	22.5%	5.1%	-0.3%	-1.55B	14.47B	-65.9M	2.79	8.60	266,203	742,303	1,445,364	3,938,103
2014-04-08	$113.61	$113.00	19.3%	6.0%	17.9%	56.6%	22.4%	5.0%	-0.5%	-1.47B	12.38B	-65.4M	2.34	11.20	204,822	479,798	1,527,997	3,968,387
2014-04-09	$115.05	$113.00	18.8%	5.9%	18.4%	51.5%	22.9%	5.2%	-0.2%	-1.20B	8.44B	-66.6M	2.31	7.39	192,579	444,114	1,588,566	4,035,624
2014-04-10	$111.86	$113.00	20.8%	6.1%	20.6%	71.3%	21.6%	5.7%	-0.5%	-1.60B	16.30B	-66.5M	3.18	48.92	331,346	1,053,507	1,655,019	4,142,330
2014-04-11	$110.44	$113.00	21.9%	6.3%	20.9%	82.6%	22.1%	6.0%	-0.3%	-1.79B	20.52B	-67.4M	3.00	49.78	367,350	1,100,879	1,739,340	4,433,772
2014-04-14	$110.70	$113.00	21.9%	6.1%	20.7%	82.7%	20.9%	5.8%	0.4%	-1.61B	18.40B	-67.2M	1.91	8.51	244,404	467,351	1,719,240	4,417,299
2014-04-15	$111.35	$113.00	22.0%	6.1%	20.0%	83.8%	21.3%	5.6%	-0.5%	-1.54B	16.67B	-68.4M	1.98	25.97	406,839	805,131	1,822,619	4,484,226
2014-04-16	$112.05	$113.00	20.0%	6.0%	20.3%	63.6%	20.3%	5.3%	0.2%	-1.39B	13.82B	-68.0M	1.63	25.00	322,957	526,462	1,964,939	4,584,461
2014-04-17	$113.01	$113.00	18.5%	5.9%	20.6%	49.0%	20.6%	4.8%	0.3%	-1.35B	11.10B	-66.3M	1.95	8.18	359,629	702,277	2,055,324	4,634,753
2014-04-21	$113.36	$0.00	18.3%	5.7%	20.6%	47.1%	20.5%	5.2%	-0.1%	-993.5M	7.83B	-65.6M	1.87	3.09	152,314	284,466	1,461,278	3,689,663
2014-04-22	$114.65	$112.00	17.3%	5.5%	20.8%	37.2%	21.6%	5.0%	-0.1%	-792.5M	5.18B	-65.2M	2.06	2.00	173,099	357,277	1,536,513	3,768,097
2014-04-23	$114.17	$114.00	17.5%	5.6%	20.8%	38.4%	22.3%	4.8%	-0.1%	-940.4M	6.71B	-65.9M	3.74	3.06	112,279	420,103	1,582,473	3,885,977
2014-04-24	$113.61	$114.00	18.0%	5.6%	19.6%	44.1%	0.0%	5.3%	-0.2%	-1.14B	8.37B	-66.4M	2.11	13.47	185,235	391,629	1,619,441	3,959,849
2014-04-25	$111.61	$114.00	19.9%	5.7%	20.6%	62.2%	24.6%	5.5%	-0.4%	-1.63B	13.75B	-66.0M	2.70	9.10	247,169	667,643	1,669,222	4,035,089
2014-04-28	$111.14	$114.00	20.1%	5.8%	20.6%	64.8%	20.6%	5.3%	-0.0%	-1.35B	13.87B	-64.7M	1.88	9.83	364,352	686,709	1,592,757	3,983,859
2014-04-29	$111.22	$108.00	20.3%	5.8%	19.5%	66.5%	19.4%	5.3%	-0.0%	-1.33B	13.40B	-66.3M	1.42	7.16	233,286	331,753	1,710,850	4,110,658
2014-04-30	$111.98	$114.00	18.7%	5.5%	18.6%	51.0%	21.4%	4.8%	-0.0%	-1.29B	11.26B	-66.5M	1.76	21.27	284,704	501,775	1,821,392	4,186,793